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- W3125382465 abstract "We study optimal asset allocation in a crash-threatened financial market with proportional transaction costs. The market is assumed to be either in a normal state, in which the risky asset follows a geometric Brownian motion, or in a crash state, in which the price of the risky asset can suddenly drop by a certain relative amount. We only assume the maximum number and the maximum relative size of the crashes to be given and do not make any assumptions about their distributions. For every investment strategy, we identify the worst-case scenario in the sense that the expected utility of terminal wealth is minimized. The objective is then to determine the investment strategy which yields the highest expected utility in its worst-case scenario. We solve the problem for utility functions with constant relative risk aversion using a stochastic control approach. We characterize the value function as the unique viscosity solution of a second-order nonlinear partial differential equation. The optimal strategies ar..." @default.
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- W3125382465 date "2015-02-20" @default.
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- W3125382465 title "Worst-case portfolio optimization with proportional transaction costs" @default.
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- W3125382465 doi "https://doi.org/10.1080/17442508.2014.991325" @default.
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